Murthy, Karthyek Rajhaa Annaswamy and Juneja, Sandeep (2012) State-independent Importance Sampling for Estimating Large Deviation Probabilities in Heavy-tailed Random Walks. In: 6th International Conference on Performance Evaluation Methodologies and Tools.
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Abstract
Efficient simulation of rare events involving sums of heavy-tailed random variables has been an active research area in applied probability over the last fifteen years. These problems are viewed as challenging, since large deviations theory inspired and exponential twisting based importance samplin
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 09:54 |
| Last Modified: | 17 Apr 2026 21:37 |
| URI: | http://eprints.eai.eu/id/eprint/9255 |
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